Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 6 3 3
Score -3.97 -4.99 -7.54
Market Cap (Millions USD) 2377.66 2070.26 2002.63
Predicted Beta 0.16 0.15 0.17
Idiosyncratic Volatility 1.27 0.86 1.77

Annualized return and volatility

EWU
Annualized Return 0.0244
Annualized Std Dev 0.2265
Annualized Sharpe (Rf=0%) 0.1075

Row

Daily Return Statistics

EWU
Observations 5112.0000
NAs 2.0000
Minimum -0.1202
Quartile 1 -0.0061
Median 0.0003
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0069
Maximum 0.1706
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0143
Skewness -0.0322
Kurtosis 12.5975

Downside Risk

EWU
Semi Deviation 0.0103
Gain Deviation 0.0103
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.6399
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0198
Modified ES (95%) -0.0198
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2014-04-30 -0.6399 1663 348 1315
2000-01-04 2003-03-12 2005-02-14 -0.4678 1308 814 494
2014-07-07 2016-02-11 2018-01-17 -0.2934 906 413 493
2018-01-29 2018-12-24 NA -0.2114 490 233 NA
2007-07-13 2007-08-16 2007-10-11 -0.1336 65 25 40

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.0 2.0 0.0 -0.6 0.3 0.0 0.0 3.1 0.0 -2.7 -0.7 0.0 1.2
2001 -0.8 -0.4 0.0 0.4 -1.0 0.0 1.5 0.0 -1.3 2.3 0.0 0.0 0.7
2002 -0.1 2.5 1.9 -0.1 0.0 1.4 -4.3 0.0 2.7 0.2 0.0 0.0 4.1
2003 0.0 0.0 1.9 -0.6 0.0 0.6 0.4 0.0 2.6 0.0 2.3 0.0 7.3
2004 0.0 1.3 0.9 0.0 0.8 -1.5 0.0 0.2 1.0 0.7 2.3 0.0 5.7
2005 1.2 0.5 -0.4 0.0 0.0 -0.3 1.4 1.5 0.0 -0.1 1.8 0.0 5.8
2006 0.7 0.8 0.0 -0.5 0.2 0.0 -0.7 0.6 0.0 0.0 -0.1 0.0 1.0
2007 0.6 -1.4 0.0 -0.2 0.9 0.0 0.1 0.0 1.6 -2.4 0.0 0.0 -0.8
2008 1.4 0.0 3.6 0.7 0.0 -1.0 -0.7 0.0 0.9 0.0 -10.3 0.0 -6.0
2009 0.0 0.0 2.7 2.7 2.8 0.9 0.0 -1.7 -2.2 0.0 2.6 0.0 8.0
2010 0.5 -0.6 1.9 0.0 -0.8 1.2 0.0 3.3 1.7 0.4 2.7 0.0 10.7
2011 2.5 -2.1 1.3 0.0 -2.7 1.0 -0.6 -0.6 0.0 -2.5 -0.6 0.0 -4.4
2012 1.7 1.4 0.0 0.8 -1.7 0.0 0.6 0.0 0.6 1.3 0.0 0.0 4.8
2013 0.0 -0.5 -0.6 -0.2 0.0 1.2 0.8 0.0 -0.1 -0.5 0.0 0.0 0.2
2014 0.0 0.0 0.3 0.3 0.0 1.0 -0.8 0.0 -1.2 0.0 0.1 0.0 -0.4
2015 0.0 0.0 0.7 0.1 -1.0 0.2 0.0 -3.8 0.4 0.0 1.0 0.0 -2.5
2016 0.1 2.6 -1.0 0.0 -0.6 0.0 -1.1 0.6 0.0 -0.3 0.1 0.0 0.5
2017 0.5 0.5 0.0 0.1 0.7 0.0 0.7 0.4 0.0 -0.5 -0.3 0.0 2.1
2018 0.0 -1.1 0.0 -0.5 0.7 0.0 -1.3 0.0 -0.1 2.0 0.0 0.0 -0.3
2019 0.3 0.2 1.3 -1.1 0.0 0.5 -1.2 0.0 -1.1 0.5 0.0 0.2 -0.4

Row

Rolling Performance Chart

Snail Trail Chart